Lots of units will have a washable pre-filter, but that's to pick up big stuff and extend the life of the disposable part.
Dyson's stance on Brexit makes ever more sense... .
Aside from the “empty the canister out and watch all fine dust float back into my house” issue, vacuum bags function as one massive filter. It’s not physically possible to build a filter into a bag less vacuum that approaches the size or capability of the vacuum bag itself.
These days I have a roomba and a Dyson cordless stick vacuum for occasional use.
I ordered some from china (probably fake) for $30 rather than the $100 dyson wanted.
If an air purifier is generally accepted to be a higher-price item, then making a fan into one with some sort of filter helps justify the higher price.
(Just speculation, though. I have no info about their design or marketing decisions.)